My 2 cents...
Its easy, its painless, and you'll love your phone even more.
first download
the HSPL (unlocks your phone for ROM flash)
remember to read the first couple of posts pertaining the unlocker.
second read and research the custom ROM you're interested in...I suggest read the first couple of posts and the last couple of pages (relevant) to see what the common issues are (all ROM's have issues)
three don't be afraid to try what works for YOU. There are plenty of folks that swear by Mighty ROM...and plenty that swear by Juicy's Releases...but at the end of the day...what works for you is the best ROM!!
Most ROM's when you download will have a bunch of stuff in the folder after you unpacked the .rar file...the one you want to "double click" is the Custom RUU (ROM Update Utility) just follow the instructions and you're golden!
happy flashing...remember if anything BAD happens you can always put your phone in the "tricolor mode" (bootloader) and flash back to stock.